Default to "Execute" when double-clicking on a shell script in PCManFM

Is it possible to get an executable to execute by default? What I mean is this. I have an .sh file, which if I click on twice, it will show me this: If I then click Execute, it does the right thing. Is it possible to get it to Execute without being shown the Execute File dialog box? So simply by double clicking the .sh file, it should do its thing without showing me the Execute File dialog box. I am using Lubuntu/PCManFM if that info is needed.